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Event Study - Definition of Estimation Window (Trading Days vs Non-Trading Days)

Economics Asked by user34858 on May 23, 2021

I am currently conducting a event study for my research project on M&A. I have all data available and want to use https://www.eventstudytools.com/.

But there is one clear which is not apparent to me from the literature. When conducting such analysis how do you define event and estimation window. Are only trading days counted? So would this mean a event window of 120 days equals around 148 calendar days (120/5*7). This of course would make sense as there is no trading on non-trading days/weekends. But for example instead of dropping those days it would be also possible to assign the value of the last trading day to the weekends.

I couldn’t find the right literature to answer this question and hope you guys can help me with this with a little bit background information

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